Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1816
Annualized Std Dev 0.7284
Annualized Sharpe (Rf=0%) 0.2494

Row

Daily Return Statistics

Close
Observations 3112.0000
NAs 1.0000
Minimum -0.3712
Quartile 1 -0.0184
Median 0.0032
Arithmetic Mean 0.0017
Geometric Mean 0.0007
Quartile 3 0.0242
Maximum 0.2658
SE Mean 0.0008
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0034
Variance 0.0021
Stdev 0.0459
Skewness -0.5160
Kurtosis 7.6101

Downside Risk

Close
Semi Deviation 0.0336
Gain Deviation 0.0313
Loss Deviation 0.0363
Downside Deviation (MAR=210%) 0.0369
Downside Deviation (Rf=0%) 0.0328
Downside Deviation (0%) 0.0328
Maximum Drawdown 0.8819
Historical VaR (95%) -0.0684
Historical ES (95%) -0.1107
Modified VaR (95%) -0.0732
Modified ES (95%) -0.1482
From Trough To Depth Length To Trough Recovery
2018-09-04 2020-03-23 2021-02-08 -0.8819 612 390 222
2008-11-06 2009-03-09 2010-03-05 -0.7924 333 83 250
2011-05-02 2011-10-03 2013-05-10 -0.7056 510 108 402
2015-06-24 2016-02-11 2016-11-25 -0.6264 361 161 200
2010-04-26 2010-08-24 2010-12-17 -0.5347 166 85 81

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -35.1 7.5 -30.3
2009 -6.1 -3.5 5.8 1.4 11.6 5 -0.9 -6.8 -9.1 -8.4 4.6 -4.1 -12.2
2010 3.7 6.9 2.5 -8.8 -9.1 -2.2 0.4 11 1.7 -1.9 6.5 -2.2 6.7
2011 6.8 -5.9 1.2 1.1 -9.4 4.5 -1.7 -6.4 -9.1 -10 -2.2 -1.6 -29.5
2012 6.5 1.5 -0.9 0.3 -8.9 8.8 -5 1.2 1 3.7 -0.7 6.3 13.3
2013 2.8 1.4 -3.6 -7.3 -3.1 4.8 3.9 -4.5 3.5 -1.4 0 0.8 -3.6
2014 -2 -1.4 4.1 -0.3 -1.3 3.1 -1.1 1.6 -4.2 4.4 -4.9 -1.8 -4.2
2015 -6.4 -1.6 -0.1 1.7 1 0.9 1.5 -8 -0.5 -1.2 1.9 -3.8 -14.3
2016 -1.3 6.5 1.3 -2.8 2 1.1 0.2 0.1 3.2 -3.6 -1.6 -1.1 3.7
2017 0 5.5 0.6 1.6 5.7 -0.5 0.6 1.6 0.6 -1.9 -1.2 -2.5 10
2018 0.8 -0.9 3 1.4 2.3 -0.4 -0.3 1.1 -4.2 6.4 1.4 2.2 13.1
2019 0.4 2.8 3.2 -2.8 -4.1 1 -4.4 -0.5 -5.9 5.1 -2 0.4 -7.1
2020 -6.1 -4 -20.1 -11.9 3.2 -2.8 -2.9 3.6 4.5 -3.8 2.7 -0.5 -34.3
2021 7.4 10.8 2.1 NA NA NA NA NA NA NA NA NA 21.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-05  12.5 SPY    96.2 -0.042    0.0334  -0.0384   -0.243   -0.368   -0.213  -0.0905 GLD    72.8 -0.0355  -0.0162
2 2008-11-06  11.2 SPY    90.9 -0.0554  -0.0565  -0.0682   -0.298   -0.386   -0.256  -0.142  GLD    72.2 -0.008   -0.0067
3 2008-11-07  11.8 SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232  -0.118  GLD    72.5  0.0039   0.0163
4 2008-11-10  10.9 SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242  -0.123  GLD    73.6  0.0149   0.0349
5 2008-11-11  10.3 SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266  -0.146  GLD    72.0 -0.0208  -0.0454
6 2008-11-12   8.5 SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304  -0.184  GLD    70   -0.0285  -0.0385
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart